Chinese Stock Screening with RSI, Auction Turnover, and 15-Minute MACD

Summary

This Chinese stock screen combines RSI below 65, previous-day auction turnover above 0.26, and a shortening negative MACD histogram on a 15-minute chart. The article presents RSI and auction turnover as gauges of market condition and activity, while MACD is intended to indicate trend and short-term momentum. It also suggests checking liquidity, fundamentals, other indicators, and additional timeframes before acting.

The article includes formula and Python examples, but the implementation does not clearly match the stated screen: its MACD checks focus on DIF crossing zero rather than a histogram becoming less negative, and parts of the sample code appear inconsistent or undefined. No backtest results or risk-adjusted performance are supplied. The article cautions that technical indicators can mislead, that the signal may reflect a short-term pullback, and that the screen does not itself account for company fundamentals.

Key ideas

• The proposed screen requires RSI below 65, auction turnover above 0.26, and a shortening negative 15-minute MACD histogram.
• The article treats RSI and turnover as context filters and MACD as a short-term trend signal.
• It recommends adding liquidity, fundamental, and multi-timeframe checks.
• The provided code’s MACD logic does not clearly implement the described histogram condition.
• The article reports no backtest evidence and warns that indicator signals can be misleading.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.